On tail probabilities and first passage times for fractional Brownian motion

Mathematical Methods of Operations Research

Volumn 49, Issue 2, 1999, Pages 335-354

  Michna, Zbigniew ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

First passage time; Fractional Brownian motion; Monte Carlo method; Pickands constant; Simulation of ruin probability

Indexed keywords

EID: 0009695549     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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